Introduced in Wrath of the Lich King, Death Knights are the game's first, and to date, only, Hero Class, and enjoy special benefits that only this designation can provide. In order to be able to create a death knight, a player must level a character of any class to 55. You can choose any race to create a death knight, and have the option of doing damage or tanking as a Death Knight, and have three talent trees to choose from, including Blood, Unholy, and Frost. Death Knights begin their journey at Level 55, and as the opening cinematic explains, have recently been reanimated by Arthas, after dying in an unspecified battle against the Scourge.
You begin in the Lich King's floating fortress known as Acherus, high above the Eastern Plaguelands.
You are quickly put through a series of tests to determine if you are fit to serve Arthas, and after passing them, you are given your orders. Arthas is preparing to wipe out the two human forces in the Eastern Plaguelands, the Argent Crusade and the Scarlet Crusade, and claim the land for his own. You become a one-person wrecking machine, and slaughter the Scarlet Crusade, discovering their plans to invade Northrend in the process, and burn their territories of Havenshire and New Avalon to the ground.
Next, Arthas turns his focus to the Argent Crusade at their base in Lights Hope Chapel. He masses all of his forces, and you join them in the attack.
Eventually, Tirion Fordring himself enters the battle, and Arthas meets him on the battlefield. The Lich King reveals that he has used you, and every other death knight in the attack, as pawns in order to draw Fordring out of hiding before attacking. However, the sacred ground of Light's Hope makes Arthas weak, and he is forced to retreat.
Fordring addresses the death knights, urging them to seek revenge on Arthas for manipulating them. He invites you to join the Alliance or Horde, depending on which race you chose to make your Death Knight, and sends you to that faction's capital city with a letter urging the faction leader to forgive your atrocities and allow you into their ranks. At this point, the death knight's starting experience is over, and they are free to go anywhere in the world that they wish. Since most death knights are Level 58 at this point, they go directly to Outland, and the Burning Crusade content that becomes available at that point.